48 citations · 192 across the 16 of their papers we have counts for
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math.ST2015
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
Denis Belomestny, Mathias Trabs
The estimation of the diffusion matrix of a high-dimensional, possibly time-changed Lévy process is studied, based on discrete observations of the process with a fixed distance…
math.PR2015★ 27 cited
Rough differential equations driven by signals in Besov spaces
David J. Prömel, Mathias Trabs
Rough differential equations are solved for signals in general Besov spaces unifying in particular the known results in Hölder and p-variation topology. To this end the paracontrol…
math.ST2015
Spectral estimation for diffusions with random sampling times
Jakub Chorowski, Mathias Trabs
The nonparametric estimation of the volatility and the drift coefficient of a scalar diffusion is studied when the process is observed at random time points. The constructed estima…